They're just drawn that way: The Wichita (Kan.) Eagle runs a Baltimore Sun story about what makes a good supervillain:

"It's not like someone gets up in the morning and says, 'I'm going to conquer the world today.' A comic-book villain cannot be born as a villain, he must be a victim of circumstances, someone who's been given a curse, or some tragedy, or power. A hero is being given a gift and uses it for the good of mankind; a villain will take the same gift, or curse, and use it against mankind."